vrp turnover corrected
What it checks
Eksi-Roy (2025): the single-name VRP (realized minus implied vol spread) is contaminated by turnover-driven transient realized-vol shocks; applying a mean-reversion correction to realized vol and/or excluding abnormal-turnover names raises Backtest uses pre-2023 options history while the live options feed is being rebuilt.
Mechanism
Eksi-Roy (2025): the single-name VRP (realized minus implied vol spread) is contaminated by turnover-driven transient realized-vol shocks; applying a mean-reversion correction to realized vol and/or excluding abnormal-turnover names raises VRP-strategy returns by ~42%. Refinement on single_name_variance_risk_premium: compute RVol-IVol, then down-weight or filter names whose 21d turnover (dollar-vo
Signal rule
Eksi-Roy (2025): the single-name VRP (realized minus implied vol spread) is contaminated by turnover-driven transient realized-vol shocks; applying a mean-reversion correction to realized vol and/or excluding abnormal-tu
Data dependencies
options_chain_dailyEnd-of-day OPRA option chains used by IV-skew family.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper window
- Modern daily equity data
risk-premium premium; decay risk 3/5.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore vrp turnover corrected on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.